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  1. Oil prices, exchange rates and sectoral stock returns in the BRICS-T countries
    a time-varying approach
    Autor*in: Caporale, Guglielmo Maria; Catik, A. Nazif; Kışla, Gül Huyugüzel; Helmi, Mohamad Husam; Akdeniz, Coşkun
    Erschienen: September 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
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    This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron (2003) tests, and a state-space model with time-varying parameters is then estimated. The main findings can be summarised as follows. Both the sub-samples and the time-varying estimates indicate a greater role for exchange rate returns. Oil prices have a positive and significant impact on the energy sector in all countries except India; a negative and significant one on the financial sector of Brazil, Russia, India, and South Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and Turkey, and a positive one in the case of Russia. The vulnerability of energy-dependent sectors to global fluctuations implies that appropriate energy policies should be adopted to reduce risk.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/245503
    Schriftenreihe: CESifo working paper ; no. 9322 (2021)
    Schlagworte: oil prices; exchange rates; sectoral stock returns; structural breaks; time-varying parameters
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen